Neuroinflammation is a physiological protective response in the context of infection and injury. However, neuroinflammation, especially if chronic, may also drive neurodegeneration. Neurodegenerative diseases, such as multiple sclerosis (MS), Alzheimer's disease (AD), Parkinson's disease (PD) and traumatic brain injury (TBI), display inflammatory activation of microglia and astrocytes. Intriguingly, the central nervous system (CNS) is a highly steroidogenic environment synthesizing steroids de novo, as well as metabolizing steroids deriving from the circulation. Neurosteroid synthesis can be substantially affected by neuroinflammation, while, in turn, several steroids, such as 17β-estradiol, dehydroepiandrosterone (DHEA) and allopregnanolone, can regulate neuroinflammatory responses. Here, we review the role of neurosteroids in neuroinflammation in the context of MS, AD, PD and TBI and describe underlying molecular mechanisms. Moreover, we introduce the concept that synthetic neurosteroid analogues could be potentially utilized for the treatment of neurodegenerative diseases in the future.